Balance Graph

The balance curve is in the blue color. X-axis reflects trades; Y-axis shows the balance in the deposit currency (USD). The red color indicates a line of a linear regression, approximating the balance graph by least squares.

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Gross Profit

Gross profit is the total of all profitable trades in money terms.

$ 108 287.87

Gross Loss

Gross loss is the total of all losing trades in money terms.

$ -72 758.00

Total Net Profit

Net profit is the difference the gross profit and the gross loss.

$ 35 529.87

Profit Factor

The profit factor shows how many times the gross profit exceeds the gross loss. The larger is this value, the better.

1.49

Expected Payoff

Expected payoff (the average profit per trade) is the quotient of the net profit and the total amount of trades.

$ 422.97

Absolute Drawdown

The drawdown from the initial balance shows to what extent the balance has decreased in relation to the initial value. It can maximally be equal to the initial balance if all money has been lost.

$ 2 485.00

Maximal Drawdown

The money drawdown shows the maximal drawdown fixed in money terms and is the largest difference between the last maximum and the current minimum. It can exceed the absolute drawdown and helps to see the amount of possible loss even for a rather profitable trading. Its value at the moment of reaching this drawdown is given in percents in brackets. Calculated by Equity values.

$ 15 372.00 (55.82 %)

Relative Drawdown

Relative drawdown shows the maximal drawdown percentage and allows estimation of probable losses in percentage of the initial deposit. Calculated by Equity values.

55.82 % ($ 15 372.00)

Total Trades

The total amount of trades made. If this amount is not large, it does not characterize your trading, the profit gained can be casual.

84

Short Trades

The number of deals that have fixed profit from selling a financial instrument. The percentage of profitable short trades is specified in brackets.

39 (% 43.59)

Long Trades

The number of deals that have fixed profit from buying a financial instrument. The percentage of profitable long trades is specified in brackets.

45 (% 26.67)

Profit Trades

The total amount of profitable trades. Their percentage of the total amount of trades is given in brackets.

29 (% 34.52)

Loss trades

The total amount of losing trades. Their percentage of the total amount of trades is given in brackets.

55 (% 65.48)

Largest profit trade

The trade resulted in the largest profit. Extreme values are not usually considered for estimation to be more objective.

$ 10 935.00

Largest loss trade

The trade resulted in the largest loss. It is often more important than the largest profit trade.

$ -2 150.00

Average profit trade

Average profit is a quotient of the gross profit and the amount of profitable trades.

$ 3 734.06

Average loss trade

Average loss is a quotient of the gross loss and the amount of losing trades.

$ -1 322.87

Maximum consecutive wins

The amount of trades in the longest profitable sequence. The total profit of this sequence is given in brackets.

4 ($ 29 670.00)

Maximum consecutive losses

The largest loss in a continuous losing sequence. The amount of trades made within this sequence is given in brackets.

8 ($ -12 100.00)

Maximal consecutive profit

The largest profit in a continuous profitable sequence. The amount of trades made within this sequence is given in brackets.

$ 29 670.00 (4)

Maximal consecutive loss

The largest loss in a continuous losing sequence. The amount of trades made within this sequence is given in brackets.

$ -12 100.00 (8)

GHPR. Geometric Mean of a Trade (change in percents)

Geometric mean shows by how many times did the capital change after each trade in average. The relative equity change is often a more objective estimation than the expected payoff. Capital change in percents is given in brackets. Negative number in brackets means that the capital decrease in average on each trade.

1.0182 (1.82 %)

AHPR. Arithmetic Mean of a Trade (change in percents)

Arithmetic mean of equity changes per trade. The arithmetic mean usually overestimates the profitability of a trading system as compared to the geometric mean. If the geometric mean implies the multiplication of each trade results, the arithmetic mean just sums them. The value in percents is given in brackets. It is positive if the trading system is profitable. The negative value means that the system is losing.

1.0271 (2.71 %)

Sharpe Ratio.

One of the most important ratios between the profitability and the risk. Sharp Ratio shows by how many times the arithmetic mean exceeds the standard deviation from the equity volatility. For example, Sharp=0.6 means that there is an average risk to lose 10 dollars per a profit of 6 dollars. The larger is this value, the less risky is the trading. However, large profit values in individual trades can result in larger value of the standard deviation that, in its turn, results in unreasonable decreasing of Sharp Ratio.

0.18

Z-Score. Series Testing (the probability of correlation between trades)

The series testing serves to estimate the degree of correlation between trades and allows one to figure out whether the trade history includes more/less periods of consecutive profits/losses than normal distribution implies. The correlation detected allows one to apply the methods of money management and/or change the trading system algorithm to maximize profit and/or to remove the dependence. Both non-finding the real correlation and finding a nonexistent correlation between trades are dangerous.

-0.36 (28.12 %)

LR. Linear Regression Correlation

The balance graph is a broken line, which can be approximated by a straight line for descriptive reasons. To find the coordinates of this straight, the least-squares method is applied. The obtained straight is named "linear regression" and allows one to estimate the balance chart points deviations from the linear regression. Correlation between the balance chart and the linear regression allows to estimate the degree of the capital variability. The less sharp peaks and troughs are on the balance curve, the closer to the figure of one is this parameter value. The closer to zero it is, the more random is the trading.

0.85

LR Standard Error. The standard error of balance deviation from the linear regression

This index serves to estimate the balance chart deviation from the linear regression in money terms. It is reasonable to compare only systems having similar initial conditions (the same values of the initial equity).The larger is this value, the stronger the balance deviates from the straight.

$ 6 114.36

Graph of MFE-Profits Distribution

Green points plotted on the graph MFE (X-axis) – Profits (Y-axis) indicate trades. Values of both axes are given in the deposit currency (USD). Thus, for each transaction we see not only the acquired profit value including swaps along the Y-axis, but also maximally possible profit during the holding period. It allows us to estimate the quality of protection of the paper profit. Though the distribution of points along the chart gives a satisfactory view of the trade system, a linear regression, which is a least squares approximation, is given for an objective assessment. Ideally, the line should make with the X-axis an angle of 45 degree.

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Correlation (Profits, MFE)

Relation between returns and the MFE. MFE is abbreviation for Maximum Favorable Excursion. Each trade had its maximal profit and maximal loss between opening and closing. MFE shows profit in the favorable excursion of the price. Each trade is corresponded with its return and with two parameters - MFE and MAE. Thus, we can draw each trade on a plane where MFE is plotted along the Х-axis, the return is plotted along the Y-axis. The closer is the return to the MFE, the more complete was the favorable excursion of the price was used. The straight on the graph shows approximation by function Profit=A*MFE+B. The Correlation(Profits,MFE) allows to estimate relation between the profits/losses and the MFE. The closer to 1 is this value, the better will the trades fit into the approximation straight. The closer to zero it is, the less considerable is this relation. MFE more characterizes the ability to realize potential profit.

0.94

Graph of MAE-Profits Distribution

Points plotted on the graph MAE (X-axis) - Profits (Y-axis) indicate trades. Values of both axes are given in the deposit currency (USD). Thus, for each transaction we see not only the acquired profit value including swaps along the Y-axis, but also the maximal drawdown within the holding period. It allows us to estimate the transaction according to drawdown waiting out. Though the distribution of points along the chart gives a satisfactory view of the trade system, a linear regression, which is approximation by least squares, is given for an objective assessment. The less trades have negative values X (MAE), the better. It also allows making a decision based on the graphical analysis about maximally accepted losses, after which the possibility of taking profit is very small (if the analysis is carried out on the same currency pair and in points).

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Correlation (Profits, MAE)

Relation between returns and MAE. MAE is abbreviation for Maximum Adverse Excursion. Each trade reached its maximal profit and maximal loss between opening and closing. MAE shows the loss during the adverse excursion of the price. Each closed trade is corresponded with its return and with two parameters - MFE and MAE. Thus, we can plot each trade on a plane where MAE is plotted along the Х-axis, the return is plotted along the Y-axis. The closer is the return to the MAE, the more complete was the protection against the adverse excursion of the price. The straight on the graph shows approximation by function Profit=A*MAE+B. The Correlation(Profits,MAE) allows to estimate relation between the profits/losses and the MAE. The closer to 1 is this value, the better will the trades fit into the approximation straight. The closer to zero it is, the less considerable is this relation. MAE characterizes the drawdown obtained within the trade's life and characterizes the use of protective Stop Loss best of all.

0.61

Correlation (MFE, MAE)

Relation between MAE and MFE. It shows correlation between two rows of characteristics. Ideal value of 1 - we take the maximal profit and protect the trade maximally during the whole its life. A value close to zero informs us that there is practically no relation between MAE and MFE.